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Forecasting annual inflation in Suriname

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  • Ooft, Gavin
  • Bhaghoe, Sailesh
  • Hans Franses, Philip

Abstract

For many countries, statistical information on macroeconomic variables is not abundant and, hence, creating forecasts for a key variable like inflation can be cumbersome. This paper addresses the creation of current year forecasts from a MIDAS regression for annual inflation rates in Suriname where monthly inflation rates are the explanatory variables, and where the latter are only available for one and a half decade. The constructed model associates with a hybrid New-Keynesian Philips curve (NKPC). Specific focus is given to the forecast accuracy in the high inflation period in 2016–2017. The forecasts became very accurate when the models included data from May onwards. A particular parameter restriction was also useful to improve forecast accuracy.

Suggested Citation

  • Ooft, Gavin & Bhaghoe, Sailesh & Hans Franses, Philip, 2021. "Forecasting annual inflation in Suriname," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000767
    DOI: 10.1016/j.intfin.2021.101357
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    More about this item

    Keywords

    Inflation; New Keynesian Phillips Curve; Rational expectations; MIDAS regression; Forecasting;
    All these keywords.

    JEL classification:

    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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